Sistemas Estocásticos en las Ciencias Naturales
Keywords:
Modelo de espacio de estados, Filtro de Kalman, Filtro extendido, State-space models, Kalman filter, Widespread filterAbstract
En este artículo se formulan los modelos de espacio de estados como herramienta matemática para representar la evolución temporal de un fenómeno. El análisis se centra en los modelos lineales, describiéndose un algoritmo, denominado filtro de Kalman, que permite realizar predicciones de forma recursiva a medida que se van procesando nuevas observaciones. Finalmente se aborda el caso no lineal introduciendo un método aproximado de resolución.State-space models as a mathematical tool for representing the time evolution of a phenomenon are formulated in this paper. The analysis is focused on linear models and the Kalman filter as an algorithm to perform forecasting as new observations are recorded is described. Finally, the non-linear case is developed and an approximated method for resolution is introduced.
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